There are two options
- Get a certificate from any certification Authority
- Or, create it with makecert executing, something like:
makecert -r -pe -a sha1 -n "CN=Windows Azure Authentication Certificate" -ss My -len 2048 -sp "Microsoft Enhanced RSA and AES Cryptographic Provider" -sy 24 testcert.cer
Note: makecert is installed from several components, i.e.: Microsoft SDK,Visual Studio's command prompt(http://msdn.microsoft.com/en-us/library/ms229859(v=vs.110).aspx)
In order to upload the certificate, login into windows.azure.com and there go to : Hosted Service and Storage Account &CDN/Management Certificate

Add the certificate

You have to upload the application from the same machine where the certificate was created.